The emperor's new clothes: a critique of the multivariate t regression model

DOI10.1111/1467-9574.00055MaRDI QIDQ4372930zbMATH OpenOpenAlexFDO

Authors Trevor S. Breusch, J. C. Robertson, Alan H. Welsh

Publication date 31 January 2000

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9574.00055

zbMATH Keywords

data analysisdegrees of freedom estimationmaximum likelihoodmultivariate Student-\(t\) distributionrobust inference

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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Cited in

(17)

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• Bayesian residual analysis for spatially correlated data
• Joint modelling of location and scale parameters of the t distribution
• Multivariate Student-t regression models: Pitfalls and inference
• scientific article; zbMATH DE number 2172895 (Why is no real title available?)
• Robustness for general design mixed models using thet-distribution
• Tail dependence of OLS
• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
• Improved estimation for robust econometric regression models
• GTL regression: a linear model with skewed and thick-tailed disturbances
• Convergence of cones of metric measure spaces and its application to Cauchy distribution
• Stein-type improvement under stochastic constraints: use of multivariate Student-t model in regression
• An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators
• On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions

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